Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Viridien backtest
10 trend-following strategies were compared on the full daily history of Viridien. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.7%, MDD -61.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.1%, drawdown -99.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.6%, MDD -85.0%, Sharpe 0.26, 36% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 18.6%p higher than buy and hold, while drawdown improves by 14.9%p (CAGR 2.7%, MDD -61.4%, exposure 9%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=27, mult=2.2 |
3.6% | -85.0% | 0.26 | 0.04 | 2.6x | 98 | 36% |
| Donchian 채널 돌파 entryN=18, exitN=79 |
1.4% | -93.9% | 0.26 | 0.02 | 1.5x | 65 | 74% |
| Supertrend period=12, mult=3.7 |
2.2% | -94.8% | 0.24 | 0.02 | 1.8x | 128 | 50% |
| ADX / DI 방향성 period=12, threshold=38 |
2.7% | -61.4% | 0.22 | 0.04 | 2.0x | 102 | 9% |
| SMA 크로스오버 fast=35, slow=68 |
0.6% | -87.7% | 0.20 | 0.01 | 1.2x | 96 | 50% |
| ROC 모멘텀 n=42, threshold=-0.01 |
-0.3% | -87.8% | 0.18 | -0.00 | 0.9x | 377 | 52% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-0.7% | -95.2% | 0.18 | -0.01 | 0.8x | 204 | 49% |
| EMA 크로스오버 fast=43, slow=156 |
0.3% | -91.3% | 0.17 | 0.00 | 1.1x | 36 | 42% |
| 볼린저 밴드 돌파 n=34, k=2.9 |
0.2% | -64.3% | 0.11 | 0.00 | 1.1x | 56 | 14% |
| MACD fast=7, slow=55, signal=6 |
-5.8% | -96.5% | 0.07 | -0.06 | 0.2x | 650 | 52% |
| Buy and hold | -15.1% | -99.9% | 0.02 | -0.15 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 77-day average + 2.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 77-day average